A multifaceted graph-wise network analysis of sector-based financial instruments’ price-based discrepancies with diverse statistical interdependencies

IF 3.8 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance Pub Date : 2024-11-22 DOI:10.1016/j.najef.2024.102316

Insu Choi, Woo Chang Kim

引用次数: 0

Abstract

We explore discrepancies in financial networks, focusing on sector-based exchange-traded funds, through an in-depth analysis using statistical measures to validate interdependencies. By adopting methodologies such as the Minimum Spanning Tree, Average Linkage Minimum Spanning Tree, p-value-based networks, and Planar Maximally Filtered Graph, we investigate price-based discrepancies to uncover underlying network structures within financial data. Our key contribution is showing how employing a variety of measures and network analyses can offer diverse insights into financial markets. This approach enhances our understanding of market dynamics and provides a comprehensive framework for examining the intricate web of relationships that underpin the financial market.

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来源期刊

North American Journal of Economics and Finance Multiple-

CiteScore

7.30

自引率

8.30%

发文量

168

期刊介绍： The focus of the North-American Journal of Economics and Finance is on the economics of integration of goods, services, financial markets, at both regional and global levels with the role of economic policy in that process playing an important role. Both theoretical and empirical papers are welcome. Empirical and policy-related papers that rely on data and the experiences of countries outside North America are also welcome. Papers should offer concrete lessons about the ongoing process of globalization, or policy implications about how governments, domestic or international institutions, can improve the coordination of their activities. Empirical analysis should be capable of replication. Authors of accepted papers will be encouraged to supply data and computer programs.